Northbound Funds Holding Ratio Factor
factor.formula
Holding Percentage at the End of Month (HoldPER) =
Calculate the proportion of northbound funds' holdings in the stock to the stock's circulating market value at the end of the month. This indicator directly reflects the concentration of foreign capital holdings in the stock at the end of the month.
Monthly average shareholding ratio (MHoldPER) =
Calculate the average of the monthly end-of-day shareholding ratio (HoldPER) over the past 20 trading days (approximately one month). This indicator smoothes daily fluctuations, reflects the average holding level of northbound funds in a month, and better reflects the long-term allocation preference of funds.
In the formula:
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Refers to the total market value of the stock held by northbound funds on the last trading day of the month. This data can be obtained through exchanges or relevant data providers.
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Refers to the total market value of all freely tradable shares of the stock on the last trading day of the month. The circulating market value usually does not include restricted shares, etc.
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The shareholding ratio at the end of the month indicates the proportion of the stock held by northbound funds at the end of the month.
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The average monthly shareholding ratio represents the average month-end shareholding ratio over the past 20 trading days (approximately one month).
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It means calculating the arithmetic mean of the month-end shareholding ratios of the past 20 trading days.
factor.explanation
This factor combines the month-end shareholding ratio and the monthly average shareholding ratio to reveal the holding behavior of northbound funds from different time dimensions. The month-end shareholding ratio reflects the immediate preference of foreign capital for a certain stock at the end of the month; while the monthly average shareholding ratio reflects the allocation strategy of foreign capital in the past period of time, which can reduce the impact of short-term abnormal fluctuations and provide a more stable reference signal. In the quantitative stock selection strategy, these two indicators can be considered at the same time and combined with other fundamental or technical factors to improve the accuracy of stock selection.